Daniel Hernández-Hernández

24 papers Journal 22Unranked 2
YearRankTypeTitle / Venue / Authors
2023 J jnl
Portfolio management under drawdown constraint in discrete-time financial markets.
J. Appl. Probab.
Diego Hernández Bustos, Daniel Hernández-Hernández
2023 J jnl
Risk-Sensitive LQG Discounted Control Problems and Their Asymptotic Behavior.
SIAM J. Control. Optim.
Daniel Hernández-Hernández, Pedro Salazar-Sánchez
2022 J jnl
Zero-Sum Stochastic Games with Random Rules of Priority, Discrete Linear-Quadratic Model.
Dyn. Games Appl.
Daniel Hernández-Hernández, Joshué H. Ricalde-Guerrero
2019 J jnl
The Vanishing Discount Approach in a class of Zero-Sum Finite Games with Risk-Sensitive Average Criterion.
SIAM J. Control. Optim.
Rolando Cavazos-Cadena, Daniel Hernández-Hernández
2018 J jnl
Zero-Sum Stochastic Differential Games Without the Isaacs Condition: Random Rules of Priority and Intermediate Hamiltonians.
SIAM J. Control. Optim.
Daniel Hernández-Hernández, Mihai Sîrbu
2017 J jnl
Local Poisson Equations Associated with Discrete-Time Markov Control Processes.
J. Optim. Theory Appl.
Daniel Hernández-Hernández, Diego Hernández Bustos
2016 J jnl
A Characterization of the Optimal Certainty Equivalent of the Average Cost via the Arrow-Pratt Sensitivity Function.
Math. Oper. Res.
Rolando Cavazos-Cadena, Daniel Hernández-Hernández
2016 J jnl
Local Poisson equations associated with the Varadhan functional.
Asymptot. Anal.
Rolando Cavazos-Cadena, Daniel Hernández-Hernández
2016 J jnl
Optimality of Refraction Strategies for Spectrally Negative Lévy Processes.
SIAM J. Control. Optim.
Daniel Hernández-Hernández, José-Luis Pérez, Kazutoshi Yamazaki
2014 J jnl
Characterization of the Value Process in Robust Efficient Hedging.
J. Optim. Theory Appl.
Daniel Hernández-Hernández, Erick Treviño-Aguilar
2012 J jnl
Nash equilibria in a class of Markov stopping games.
Kybernetika
Rolando Cavazos-Cadena, Daniel Hernández-Hernández
2011 J jnl
Discounted Approximations for Risk-Sensitive Average Criteria in Markov Decision Chains with Finite State Space.
Math. Oper. Res.
Rolando Cavazos-Cadena, Daniel Hernández-Hernández
2009 J jnl
Necessary and sufficient conditions for a solution to the risk-sensitive Poisson equation on a finite state space.
Syst. Control. Lett.
Rolando Cavazos-Cadena, Daniel Hernández-Hernández
2008 J jnl
A central limit theorem for normalized products of random matrices.
Period. Math. Hung.
Rolando Cavazos-Cadena, Daniel Hernández-Hernández
2008 J jnl
An optimal investment strategy with maximal risk aversion and its ruin probability.
Math. Methods Oper. Res.
Begoña Fernández, Daniel Hernández-Hernández, Ana Meda, Patricia Saavedra
2005 — conf
Optimal Consumption-Investment Problems in Incomplete Markets with Random Coefficients.
CDC/ECC
Netzahualcoyotl Castañeda-Leyva, Daniel Hernández-Hernández
2005 J jnl
Optimal Consumption-Investment Problems in Incomplete Markets with Stochastic Coefficients.
SIAM J. Control. Optim.
Netzahualcoyotl Castañeda-Leyva, Daniel Hernández-Hernández
2004 J jnl
A characterization of exponential functionals in finite Markov chains.
Math. Methods Oper. Res.
Rolando Cavazos-Cadena, Daniel Hernández-Hernández
2003 J jnl
An optimal consumption model with stochastic volatility.
Finance Stochastics
Wendell H. Fleming, Daniel Hernández-Hernández
2003 J jnl
Large Deviations for a Random Walk Model with State-Dependent Noise.
SIAM J. Control. Optim.
Michelle Boué, Daniel Hernández-Hernández, Richard S. Ellis
2003 J jnl
Solution to the risk-sensitive average optimality equation in communicating Markov decision chains with finite state space: An alternative approach.
Math. Methods Oper. Res.
Rolando Cavazos-Cadena, Daniel Hernández-Hernández
2002 — conf
On a representation of Varadhan's functional as a convex minimization problem.
CDC
Rolando Cavazos-Cadena, Daniel Hernández-Hernández
1999 J jnl
Analysis of a risk-sensitive control problem for hidden Markov chains.
IEEE Trans. Autom. Control.
Daniel Hernández-Hernández, Steven I. Marcus, Pedram Jaefari Fard
1999 J jnl
Risk sensitive control of finite state Markov chains in discrete time, with applications to portfolio management.
Math. Methods Oper. Res.
Tomasz R. Bielecki, Daniel Hernández-Hernández, Stanley R. Pliska